> We noticed that the more indexes are in the CDX, the slower the access tends to be on a networked data.

Opening a table that isn't already open in the VFP instance forces VFP to read the 4 KB header for each index tag. That is, opening a table with 25 indexes will transfer at least 100 KB across the network in 25 separate I/O requests that are all handled sequentially (that is, sensitive to network latency).